【正文】 tion ? OTC options are tailormade for the customers, there is not an active secondary market B. Exchangetraded vs OTC options ? The OTC currency options market consists of two sectors: ? The first is a retail market posed of nonbank customers who purchase from banks what amounts to customized insurance against adverse exchange rate movements. These customers prefer the OTC market because of their ability to obtain terms that fit their needs. ? The second is a wholesale market among mercial banks, investment banks, and specialized trading firms. This market has options that are larger in contract size than elsewhere, and typically Europeanstyle. OTC Option Markets ? They are customized unlike the standardized exchangetraded options. The exchanges can be viewed as the discount stores (“onesizefits all” stores). The international banks are boutiques offering tailormade products to customers. ? Premiums on OTC options are higher than the parable exchangetraded options. This difference primarily reflects the customized nature of the OTC options。但有履約價格、期權費的特殊規(guī)定。 ? 外匯期權合同的買方是有權無責，賣方是有責無權。 ? 現(xiàn)貨市場 期貨市場 ? 12月 10日預計 3個月后支付 200 同日買進 16份瑞士法郎期貨合約 ? 萬瑞士法郎 （ 200/） ? ＄ 1= ? （ SF1=＄ ） SF1=＄ 3月 10日用美元買進 200萬瑞士法郎 同日賣出 16份瑞士法郎期貨合約 ? ＄ 1= ? （ SF1=＄ ） SF1=＄ 虧損 200（ ） =＄ 9200 盈利 200（ )=9200＄ 56 （三）外匯期權交易 （ Option Trading） ? 期權交易又稱選擇權交易，是指交易者通過付出一筆較小的費用，便能得到一種權利，在預先商定的日期或該日期前，按照預先商定的價格和數(shù)量買賣某一特定商品或金融資產(chǎn)的權利。 54 外匯期貨賣方保值 ? 例如：我國某出口公司 8月 2日發(fā)貨，收到 9月 1日到期的 100萬英鎊遠期匯票，該公司擔心英鎊到期時匯率下降，帶來外匯風險，于 8月 2日作外匯期貨交易保值。兩個市場價格互相影響、相互依賴 53 外匯期貨市場套期保值交易 ?外匯期貨市場套期保值交易原理是利用現(xiàn)貨市場價格與期貨市場價格同方向、同幅度變動的特點，在外匯現(xiàn)貨市場與期貨市場做方向相反、金額相等的對沖交易，以便對持有的外匯債券或債務進行保值。為了防范風險或投機。外匯期貨交易絕大部分（ 95%左右）每日結算， 5%左右通過買賣平倉終止交割義務；遠期外匯交易大多數(shù)在交割日用現(xiàn)匯交割。外匯期貨交易信用風險小、價格風險大；遠期外匯交易信用風險大、價格風險也大。外匯期貨交易采取每日結算制度；遠期外匯交易在到期日進行結算。外匯期貨交易必須交足保證金；遠期外匯交易一般不收保證金。外匯期貨交易參與者可以是金融機構、企業(yè)、公司和個人；遠期外匯交易一般是大公司。外匯期貨交易合約是標準化的；遠期外匯交易合約由雙方協(xié)商確定。外匯期貨交易是在有形市場；遠期外匯交易是在無形市場。包括套期保值者（ Hedger）和投機者（ Speculator）兩種。收取傭金。 ? 期貨傭金商。負責期貨合同的交易與登記。制定交易規(guī)則，監(jiān)督管理交易活動及發(fā)布信息，提供交易場所與設施，以維持期貨市場的正常運轉。交割日期為到期月的第三個星期的星期三。 ? 交割月份與交割日期。 IMM中規(guī)定，加元 10萬、日元1250萬、瑞士法郎 、英鎊 。僅限于美元與另一種可自由兌換貨幣的交易。 T i m e A c t i on I n v e s t or 39。 ? Given the wellcapitalized clearing house, the risk of a future default by the clearing house is small Buyer Clearing House Seller ? Clearing House ? no middleman for forward ? clearing house for ? futures contract ? Deposit Requirement ? no deposit: forward ? margin requirement for futures ? In the futures market, the number of contracts bought must equal the number of contracts sold. Thus, if all outstanding long and short futures market positions are considered, the total always equals zero。 Forward and Futures Contracts ? A futures contract a standardized agreement between an individual entity and a clearing house of an anized exchange pertaining to future exchange of a good (modity, currency, or a financial asset) at an agreed price. Features of futures/forward contracts ? Futures contracts traded on an anized exchange。 ? 世界上第一個外匯期貨交易所成立于 1972年 5月 16日的美國芝加哥，稱為“國際貨幣市場”（ International Moary MarketIMM），它是芝加哥商品交易所（ Chicago Mercantile ExchangeCME）的一個分支。, the expected exchange rate will be: SR1 = SR0 (1 + r)/(1 + r*) = [US$] ()/() = US$165。) Return under Option B exceeds the return under Option A, the foreign market alternative is preferred. I. Interest Rate Parity (IRP) ? SR= spot rate for foreign currencies in terms of US$, ., US$ / 163。 for US$ in the 3month forward market US$(= 163。(1+12%/4)= 163。(= US$1/$/163。. Option A : The bank will invest domestically, ., in the . CD market. $1(1+10%/4)= $ Theories of FX Market Option B: The bank will 1. Convert the US$ in 163。 ?UK rate (r*), 12% ?Spot exchange rate (SR) is US$163。 ? 已知：即期匯率 $1=— ? 3個月匯水數(shù) 120—140 ? 求：該公司 3個月后應付多少美元？ 我國某公司計劃 3個月后用美元兌付 700萬瑞士法郎進口貨款，為防止瑞士法郎升值，做遠期交易。 ? 如美元升水從 ，則美元升水折年率僅為 %，則 3個月美元賣主減少，需求增加，美元升水開始增加，直到供求均衡。 22 ? 計算公式： ? 升（貼）水數(shù) =即期匯率 兩國利差 月數(shù) /12 ? 如上面例子： ? 3個月 ￡ 貼水數(shù) = % 3/12 ? =＄ ? 3個月 ￡ 遠期匯率 == ＄ ? 同樣求出 3個月美元的升水數(shù) ? =1/ % 3/12 ? = ￡ ? 3個月＄遠期匯率 = ￡ + ￡ ? = ￡ ? 或： ￡ 1/= ￡ 23 （ 2）兩國貨幣遠期外匯市場的供求關系 ?遠期外匯市場的遠期匯率升貼水數(shù)要圍繞兩國貨幣短期利率決定的升貼水數(shù)上下波動，在供求均衡情況下，兩者才會一致。而買進即期美元必須賣出即期英鎊，將%利率調成 7%，則倫敦銀行將利息損失轉嫁到 3個月美元買主身上，則賣出 3個月美元的遠期匯率應高于美元的即期匯率，這為 3個月美元升水（或 3個月英鎊貼水）。 ? 2month forward discount rate for CHF for bid is % [={()/}x(12/2)x100] III. Settlement Date ? Spot/Forward contracts are settled on the date of delivery of the funds promised in the contract. ? Spot contracts are usually settled two business days (or less) after the agreement is reached. ? The settlement date is also called the value date. Suppose a 1month forward contract is entered into on July 7 (Wednesday). Since the spot value date, which is two business days after the contract, is July 9, the settlement day for, the